erp_rotation 股债性价比轮动 · 推荐傻瓜参数 (X=[0,1,2,3] / Y=0-25-50-100 / 每季检查)

生成时间: 2026-08-24 12:04:15

概览

118.3%
总收益
6.0%
年化
1.20
夏普
-6.6%
最大回撤

策略参数

参数
signal_modeabs
pct_window3
n_levels4
X10.0
dX21.0
dX31.0
dX41.0
dX51.0
Y10.0
dY20.25
dY30.25
dY40.5
dY50.25
check_intervalquarterly

核心指标

指标策略基准
总收益率118.3%102.3%
年化收益 (CAGR)6.0%5.4%
年化波动率4.9%10.7%
夏普比率1.200.50
最大回撤-6.6%-23.9%
最长回撤持续(交易日)438
水下时间占比82.3%
Sortino1.38
Calmar0.91
年换手率49.4%
交易次数34
月度胜率68.9%
盈亏比1.01
持有1年盈利概率92.0%
持有3年盈利概率100.0%
持有5年盈利概率100.0%

策略事件 (24)

日期事件
2013-03-25erp_rotation start: level=1/4 stock=0% bond=100%
2013-07-01erp_rotation rebalance: level 0 -> 2
2013-10-08erp_rotation rebalance: level 1 -> 1
2018-07-02erp_rotation rebalance: level 0 -> 2
2019-01-02erp_rotation rebalance: level 1 -> 3
2019-04-01erp_rotation rebalance: level 2 -> 1
2019-07-01erp_rotation rebalance: level 0 -> 2
2020-01-02erp_rotation rebalance: level 1 -> 1
2020-04-01erp_rotation rebalance: level 0 -> 2
2020-07-01erp_rotation rebalance: level 1 -> 1
2022-04-01erp_rotation rebalance: level 0 -> 2
2022-04-02skip order 511010: no data on this day
2022-04-02skip order H00300: no data on this day
2022-07-01erp_rotation rebalance: level 1 -> 1
2022-10-08erp_rotation rebalance: level 0 -> 2
2022-10-09skip order 511010: no data on this day
2022-10-09skip order H00300: no data on this day
2024-01-02erp_rotation rebalance: level 1 -> 3
2024-10-08erp_rotation rebalance: level 2 -> 2
2025-01-02erp_rotation rebalance: level 1 -> 4
2025-04-01erp_rotation rebalance: level 3 -> 3
2025-10-09erp_rotation rebalance: level 2 -> 2
2026-01-04erp_rotation rebalance: level 1 -> 3
2026-07-01erp_rotation rebalance: level 2 -> 2

净值对比

回撤

X 比值与买卖点